In this work, direct electrophoretic deposition (EPD) of thin-film Ce0.8Sm0.2O1.9 (SDC) electrolyte on porous nonconductive NiO–BaCe0.8Sm0.2O3 (BCS) and NiO-SDC substrates is studied. To improve the electrolyte sintering, the suspensions for EPD have been modified by the addition of Co3O4, TiO2, and Al2O3 oxides in the amount of 2, 2 and 5 mol. %, respectively. The high zeta potential values, necessary for the stable deposition, have been achieved by the introduction into the suspensions a nanosized SDC powder (10 wt %), obtained by laser evaporation. Dense composite electrolyte membranes up to 30 μm in thickness have been obtained after sintering at 1450 °C for 5 h. The influence of the sintering additives on the electrical properties of the films are studied. In SOFC mode, the effects of increasing the open circuit voltage (OCV) (1.06–0.92 V at the temperatures of 650–750 °C) are demonstrated as a consequence of the formation of a Ba-rich phase caused by the diffusion from the NiO-BCS substrate during sintering, which blocks the electron leakage current in the main SDC electrolyte. At 1450 °C, complete densification of Co-modified SDC films on the NiO-SDC anode substrate does not occur. Therefore, the sintering properties are influenced by both the Ba diffusion and the sintering additives.